The Defaultable Lévy Term Structure: Ratings and Restructuring

DOI10.1111/1467-9965.00017zbMATH Open1049.91066OpenAlexW2060061155MaRDI QIDQ4409031FDOQ4409031

Authors: Ernst Eberlein, Fehmi Özkan 

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00017

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zbMATH Keywords

default riskmarket price of riskmigration process

Mathematics Subject Classification ID

Cites Work

• Statistical models based on counting processes
• Title not available (Why is that?)
• Credit risk: Modelling, valuation and hedging
• Title not available (Why is that?)
• Multiple ratings model of defaultable term structure.
• Title not available (Why is that?)
• Term structure models driven by general Lévy processes
• Towards a general theory of bond markets
• Title not available (Why is that?)
• Modeling of the Defaultable Term Structure: Conditionally Markov Approach

Cited In (22)

• PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Existence of Lévy term structure models
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• General dynamic term structures under default risk
• Bilateral gamma distributions and processes in financial mathematics
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Real-world forward rate dynamics with affine realizations
• DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
• Correlations in Lévy interest rate models
• A multiple-curve Lévy forward rate model in a two-price economy
• A multiple-curve HJM model of interbank risk
• Dynamic defaultable term structure modeling beyond the intensity paradigm
• Structural recovery of face value at default
• Rating based Lévy Libor model
• Electricity futures price modeling with Lévy term structure models
• Modelling default and prepayment using Lévy processes: an application to asset backed securities
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
• Term structure modelling of defaultable bonds
• Conditional Markov chains: properties, construction and structured dependence
• Exponential moments for HJM models with jumps

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